Intraday Return and Volatility Structures in Borsa Istanbul and the Impact of Opening and Closing Call Auction Sessions

Eyup Kadioglu and Guray Kucukkocaoglu

Journal of BRSA Banking and Financial Markets, 2015, vol. 9, issue 1, 103-126

Abstract: In this study, intraday return and volatility structuresareresearched in Borsa Istanbul using 102 shares in different indexes while focusing on the period between November 1, 2006 – May 31, 2012 by using 15-minute returns. Additionally, the effect of opening and closing call sessions, implemented on February 2nd, 2007 and March 3rd, 2012 respectivelyto reduce extraordinary price movement and ensure more effective price formation, on these structures are analyzed. For this purpose, the difference in the average and standard deviation of the 15- minute returns in the period before and after the implementation of call sessions are tested.Due to two separate trading sessions, the intraday return structure fits the double “U” form,the volatility structure fits the “L” form andboth are consistent with the literature. Implementation of opening and closing call sessions significantly affected the structure of return and volatility at the opening time of the first session and closing time of the second session.Implementation of opening call session significantly decreased average returnmeanwhile increased volatility during the opening time of the first session. Implementation of closing call session significantly decreased the average return in the closing time of the second session and the volatility in the opening time of the first session.

Keywords: Intraday Return; Intraday Volatility; Closing Price; Call Auction (search for similar items in EconPapers)
JEL-codes: G10 G14 G15 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:bdd:journl:v:9:y:2015:i:1:p:103-126

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